SPX Options History — April 2019

In April 2019, SPX traded between $2865.44 and $2944.66. ATM implied volatility averaged 10.2%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.6% (HV 20d: 8.6%). Max pain ranged from $2775.00 to $2850.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.92.

Notable Days

2019-04-03: Highest Volume — 1,064,881 contracts
2019-04-09: Largest IV spike — 9.6% change
2019-04-03: Highest IV Rank — 16.7%
2019-04-01: Largest Expected Move — 3.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2903.36	$2865.44	$2944.66	$2865.44	$2942.14
Max Pain	$2807.38	$2775.00	$2850.00	$2775.00	$2850.00
ATM IV	10.2%	9.6%	11.4%	11.1%	10.1%
Expected Move	3.0%	2.7%	3.4%	3.4%	2.9%
HV 20d	8.6%	4.5%	12.1%	12.1%	4.5%
HV 60d	10.1%	8.8%	12.3%	12.3%	8.8%
IV Rank	11.6%	8.7%	16.7%	15.4%	10.9%
IV Percentile	32.9%	26.6%	41.3%	38.5%	34.9%
Term Structure	0.2%	-0.3%	0.5%	0.5%	0.2%
VWIV	12.7%	11.2%	15.2%	13.0%	11.6%
Skew 25d	3.8%	3.4%	4.4%	3.8%	4.0%
Skew 10d	7.9%	6.5%	9.5%	7.0%	7.8%
Call IV 25d	8.7%	8.2%	9.7%	9.4%	8.6%
Put IV 25d	12.5%	11.6%	13.7%	13.1%	12.6%
Bid-Ask Spread %	9.94	6.41	12.74	6.41	12.21
Gamma HHI	0.04	0.03	0.04	0.03	0.03
Net GEX	29.19B	19.25B	40.98B	23.41B	29.78B
Net DEX	-245.17B	-282.54B	-192.53B	-217.78B	-266.27B
Net VEX	-2.99B	-3.15B	-2.76B	-2.97B	-2.83B
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.92	1.42	3.02	1.57	1.72
Total Volume	760,416.286	540,844	1,064,881	716,156	794,178
Total OI	8,530,576.524	7,852,528	9,109,805	7,852,528	8,556,702

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-04-01	$2865.44	$2775.00	11.1%	3.4%	12.1%	15.4%	13.0%	3.8%	0.5%	23.41B	-217.78B	-2.97B	1.57	6.41	278,929	437,227	2,689,400	5,163,128
2019-04-02	$2869.03	$2780.00	10.6%	3.2%	12.1%	13.4%	12.4%	3.5%	0.3%	23.85B	-221.56B	-2.95B	2.06	6.44	232,526	478,449	2,732,874	5,215,596
2019-04-03	$2872.14	$2785.00	11.4%	3.4%	11.6%	16.7%	14.7%	4.0%	0.1%	24.99B	-225.01B	-3.00B	1.73	7.07	389,925	674,956	2,804,153	5,407,712
2019-04-04	$2877.08	$2790.00	11.1%	3.3%	10.8%	15.5%	15.2%	4.0%	0.1%	24.80B	-232.35B	-3.07B	1.69	7.65	292,812	495,178	2,898,849	5,566,629
2019-04-05	$2891.10	$2790.00	10.2%	3.1%	10.7%	11.3%	12.9%	3.6%	0.4%	25.42B	-270.93B	-3.06B	1.68	8.18	380,651	640,734	2,958,241	5,736,127
2019-04-08	$2894.01	$2800.00	10.3%	3.1%	9.4%	11.7%	12.4%	3.6%	0.4%	29.77B	-239.65B	-3.05B	1.54	7.75	212,764	328,080	2,868,073	5,417,678
2019-04-09	$2878.55	$2800.00	11.2%	3.3%	9.7%	16.0%	12.4%	4.4%	0.1%	19.25B	-192.53B	-3.13B	1.42	7.99	322,828	457,171	2,920,708	5,508,961
2019-04-10	$2887.35	$2800.00	10.8%	3.1%	9.5%	14.1%	14.8%	4.1%	0.2%	26.13B	-221.81B	-3.13B	2.26	8.72	188,022	425,853	3,005,001	5,694,623
2019-04-11	$2886.80	$2800.00	10.6%	3.1%	9.5%	13.1%	13.5%	4.0%	0.2%	23.12B	-213.20B	-3.15B	2.30	8.79	174,723	402,584	2,993,647	5,740,970
2019-04-12	$2905.40	$2800.00	9.6%	2.8%	9.6%	8.7%	11.9%	3.4%	0.4%	38.25B	-279.92B	-3.07B	1.85	10.67	312,919	578,251	3,047,079	5,860,280
2019-04-15	$2903.78	$2800.00	9.8%	2.8%	9.6%	9.5%	13.4%	3.7%	0.3%	28.23B	-249.55B	-3.07B	1.87	9.06	217,895	407,326	2,969,852	5,617,802
2019-04-16	$2904.86	$2800.00	9.8%	2.8%	9.5%	9.9%	12.1%	3.6%	0.2%	28.54B	-245.44B	-3.13B	3.02	11.06	157,739	476,636	3,001,567	5,689,512
2019-04-17	$2902.26	$2805.00	10.1%	2.9%	9.5%	11.2%	11.7%	3.7%	0.2%	23.24B	-235.72B	-3.12B	2.05	10.25	258,011	529,639	3,054,862	5,875,391
2019-04-18	$2905.29	$2815.00	9.7%	2.8%	9.0%	9.1%	11.2%	3.6%	-0.2%	27.13B	-240.90B	-3.15B	1.74	12.59	344,438	599,879	3,132,342	5,977,463
2019-04-22	$2907.67	$2820.00	9.8%	2.8%	5.5%	9.4%	11.2%	3.7%	0.4%	30.66B	-213.67B	-2.76B	1.61	12.00	207,876	333,669	2,751,306	5,437,582
2019-04-23	$2931.32	$2820.00	9.6%	2.7%	5.8%	8.7%	13.6%	3.5%	0.2%	40.98B	-278.77B	-2.78B	1.78	12.74	306,121	544,190	2,797,892	5,460,762
2019-04-24	$2933.20	$2825.00	10.0%	2.8%	5.8%	10.3%	13.4%	3.7%	-0.1%	35.95B	-272.73B	-2.83B	2.52	12.70	224,939	567,201	2,871,241	5,673,919
2019-04-25	$2932.45	$2830.00	10.1%	2.8%	5.8%	10.8%	12.4%	3.8%	-0.0%	33.21B	-266.99B	-2.82B	2.33	12.04	214,139	499,285	2,879,526	5,749,733
2019-04-26	$2935.97	$2830.00	9.7%	2.8%	5.8%	9.1%	11.4%	3.8%	-0.3%	37.14B	-281.21B	-2.81B	2.11	11.95	266,030	561,840	2,946,615	5,929,118
2019-04-29	$2944.66	$2840.00	9.8%	2.9%	5.7%	9.7%	12.1%	3.8%	0.3%	39.15B	-282.54B	-2.81B	1.43	12.42	310,364	442,765	2,833,304	5,705,887
2019-04-30	$2942.14	$2850.00	10.1%	2.9%	4.5%	10.9%	11.6%	4.0%	0.2%	29.78B	-266.27B	-2.83B	1.72	12.21	291,835	502,343	2,834,384	5,722,318